The performance of emerging markets in a Market Portfolio

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2019-08-12
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en
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This study focusses on the role of emerging markets in a European based global portfolio. Specifically the TICKS countries have been used as an index for the emerging markets. Previous research has failed to address the possibility of emerging markets as safe haven during the recent decades and focussed mainly on pre-crisis data. Using a Mean Variance Analysis in combination with a Monte Carlo Simulation this paper has shine new light on the role of emerging markets in a portfolio during times of prosperity and turmoil. Emerging markets seem to have an overall positive effect on the performance ratios used and there is clear evidence emerging markets can be used as diversifier. The role of emerging markets changes in different market circumstances and the exact role of emerging markets as safe haven remains unclear requiring further research.
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Faculteit der Managementwetenschappen
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